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July 1, 2002

Agencies Assign Ratings to Man Glenwood CFO

NEW YORK (HedgeWorld.com)--Man Glenwood Alternative Strategies I, a structured hedge fund of funds, received ratings from both Standard & Poor's and Moody's for its US$374 million in debt tranches.

The collateralized fund obligation is one of the first to receive a public rating and had received preliminary ratings in May, Previous HedgeWorld Story.

The deal came in 10% larger than originally expected, with US$550 million in assets, said Yvonne Fu, senior vice president and analyst on the deal for Moody's. In addition, one of the tranche's ratings from Moody's was a notch higher than planned.

S&P and Moody's assigned ratings of AAA and Aaa, respectively, for the first tranche, which has US$242 million in assets, according to an S&P statement. The second US$33 million tranche was assigned ratings of AA and Aa2 and the third US$41.25 million tranche was rated A and A1, though Moody's originally had assigned a preliminary rating of A2. The fourth US$57.75 million tranche was rated BBB/Baa2, and the final US$176 million equity tranche is unrated.

A CFO is structured like a collateralized debt obligation, in that investors in the debt securities are essentially lending money to the final equity tranche, which represents the hedge fund investment. The ratings agencies assign ratings based on the market value of the investments held by the CFO.

The CFO will be managed by Man Glenwood, the Chicago-based institutional division of Man Group plc.* J.P Morgan Securities Inc. was the placement agent on the deal.